基于BSV模型及其扩展的IPO价格形成机制

Formation Mechanism of IPO Price Based on BSV Model and Its Expansion

本文通过引入行为金融学中投资者心态模型,讨论了在目前我国IPO询价机制下广大中小投资者行为对IPO价格形成的影响。本文借鉴BSV模型,结合我国的实际,建立了中小投资者的基本心态模型与扩展心态模型。在此基础上,分别讨论了两种模型下中小投资者对IPO价格形成机制的影响,得出了基于两种心态模型下的IPO价格表达式,从理论上剖析了基于我国中小投资者心态模型的IPO价格形成机理,以期对发行人和承销商确定较合理的IPO价格起到一定的借鉴作用和积极意义。

This paper analyzes that the masses of medium and small investors behavior influences the formation of the IPO price under the IPO inquire mechanism of our country by introducing the investor＇s psychology model in the behavior finance at present. Employing the BSV model and combining the reality of our country, we set up the basic psychology model and expansion psychology model of the medium and small investors. On this basis, we discuss separately which the medium and small investors have the effect on the formation mechanism of IPO price under two kinds of models, and derive the IPO price expression formula under two kinds of psychology models. Further more, we analyze the formation mechanism of IPO price based on our country＇s medium and small investor＇s psychology model theoretically, so as to expect to play a certain reference role and positive meaning for the issuers and underwriters to establish the more reasonable IPO price.